Depression is always associated with gloomy, pessimistic, recurrent thoughts that undercut the self and others: "I'll never succeed. I'm ugly. I'm not bright enough. I have bad luck. I'm sick...." These ideas may be as excessive as they are hurtful (such as "I always disappoint everybody," which simply cannot be true). But by the time they manifest in depression, they've usually become so automatic that it is no longer obvious how abnormal they are. One of the characteristics of sustained physical effort is precisely that it puts a halt, at least temporarily, to the torrent of depressive thoughts. Most people who jog or run say that after 15 or 20 minutes, they reach a state in which they feel spontaneously positive and even creative. If negative messages pop up, which is rare, just diverting your attention to your breathing, or to the sensation of your feet pressing down on the ground, is usually enough to see them off.

Joggers and runners also gradually become less conscious of themselves as they go—easing the depressive inward dwelling that interferes with the ability to enjoy the simple events of life. They describe letting the rhythm of their effort lead them on—an experience some refer to as the runner's high, a kind of flow. Only those who persevere for several weeks experience it. This state, subtle as it is, often becomes addictive. After a certain amount of consistent exercise, many joggers can no longer go without their 20 minutes of running, even for a single day.

The big mistake that beginners make is to want to go too fast for too long. Truthfully, there is no magic speed or distance. What leads to a feeling of flow is persisting in an effort that you sustain at the limit of your capacities. At the limit, but no further. Research on states of flow has demonstrated this. For a first-timer, the distance will inevitably be short and the steps small. Later the jogger may have to go faster and longer in order to maintain flow, but probably only after he or she has already become addicted.